BNP Paribas plans 10% reverse convertible autocallables on four stocks

By Toni Weeks

San Diego, Dec. 14 - BNP Paribas plans to price 10% autocallable reverse convertible worst-of notes due Dec. 26, 2013 linked to four stocks, according to a term sheet.

The underlying stocks are Apple Inc., Boeing Co., Exxon Mobil Corp. and Procter & Gamble Co.

Interest is payable quarterly.

The notes will be called if the closing price of each underlying stock on any quarterly observation date is greater than or equal to its initial price. If called, the redemption price will be par on March 21, 2013, 95% of par on June 21, 2013 and 90% of par on Sept. 23, 2013.

A knock-out event occurs if the closing price of any underlying stock is below its knock-out price - 58% to 62% of the initial price - on any day during the life of the notes. The exact knock-out prices will be set at pricing.

The payout at maturity will be par unless the final share price of the worst-performing underlying stock is less than its initial price and a knock-out event has occurred, in which case investors will be fully exposed to the decline of the worst-performing stock.

The notes (Cusip: 05574LDG0) are expected to price Dec. 20 and settle Dec. 26.

BNP Paribas Securities Corp. is the agent.

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